Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0875
Annualized Std Dev 0.3065
Annualized Sharpe (Rf=0%) 0.2856

Row

Daily Return Statistics

Close
Observations 3488.0000
NAs 1.0000
Minimum -0.1421
Quartile 1 -0.0084
Median 0.0011
Arithmetic Mean 0.0005
Geometric Mean 0.0003
Quartile 3 0.0099
Maximum 0.2026
SE Mean 0.0003
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0012
Variance 0.0004
Stdev 0.0193
Skewness 0.1241
Kurtosis 8.6940

Downside Risk

Close
Semi Deviation 0.0138
Gain Deviation 0.0138
Loss Deviation 0.0145
Downside Deviation (MAR=210%) 0.0181
Downside Deviation (Rf=0%) 0.0135
Downside Deviation (0%) 0.0135
Maximum Drawdown 0.7268
Historical VaR (95%) -0.0292
Historical ES (95%) -0.0455
Modified VaR (95%) -0.0272
Modified ES (95%) -0.0335
From Trough To Depth Length To Trough Recovery
2007-11-01 2008-11-20 2014-03-06 -0.7268 1596 267 1329
2018-01-29 2020-03-23 2020-07-08 -0.3531 615 541 74
2015-04-28 2016-02-11 2017-04-25 -0.3006 503 201 302
2007-07-16 2007-08-16 2007-09-18 -0.1865 46 24 22
2014-03-07 2014-05-08 2014-08-18 -0.1551 114 44 70

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA 0.9 -0.6 -1.5 3.5 2.7 -3.5 1.3 -0.9 1.7
2008 7.3 -3.5 5.7 1.6 2.2 -2.1 0.2 0 0.1 1.1 -8.9 1.3 4.1
2009 -0.7 -2.2 2.7 2.4 5.2 1.5 0.3 -2.5 -3.4 -4.1 2.5 -0.2 1.1
2010 1.9 1.6 1.5 -1 -2.3 -0.2 0.7 3 1.1 0.5 1.9 -0.1 8.8
2011 2.4 -0.2 1.2 0.6 -1.6 1.9 0.3 -1.3 -3.8 -3 0.6 0.4 -2.7
2012 2 1 1.4 0.8 -2.8 3.9 0.1 0.1 0.4 2.2 -0.1 1.6 10.9
2013 1.1 0 -1.3 -0.7 -1.5 0.4 2 -0.5 2 0.2 0.9 0.5 3.1
2014 -0.9 -0.8 2.6 1.2 -0.9 1.7 -0.3 -0.2 -1.7 2.6 -2.9 -0.2 0
2015 -2.1 -0.2 0.3 0.6 1 -0.5 0.3 -2.6 0 1 0.8 0.1 -1.3
2016 -1.8 3.9 -0.4 -0.7 -0.5 0.3 0.6 0.9 0.2 -1 -2.4 -0.2 -1.2
2017 0.6 1.4 -0.1 0.6 1 0.5 0.2 1.2 0.8 0.5 -1.4 0.1 5.5
2018 -1.3 -1.5 1.5 0.1 1.4 0.4 -0.5 0.8 -0.1 3.8 1.3 -0.5 5.4
2019 -1 0.7 2.1 0.1 -0.9 1.6 -2.4 0.5 -1.2 1.4 -1 0 -0.2
2020 -2 -1.3 -3.4 -4.6 1.4 0.6 0.7 2.2 1.2 -1.5 0.4 -0.4 -6.7
2021 4.6 3.9 1 NA NA NA NA NA NA NA NA NA 9.7

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2007-05-11  20.4 SPY    151.  8.60e-3 -0.0004    0.0429   0.0481    0.138    0.386    0.400 GLD    66.4  0.0068  -0.0255
2 2007-05-14  20.4 SPY    151. -2.20e-3 -0.0028    0.0359   0.0494    0.150    0.372    0.424 GLD    66.3 -0.0026  -0.0289
3 2007-05-15  20.3 SPY    151.  3.00e-4 -0.00120   0.0264   0.0409    0.165    0.363    0.396 GLD    66.5  0.0039  -0.0197
4 2007-05-16  20.7 SPY    152.  6.80e-3  0.00290   0.0307   0.0411    0.171    0.378    0.375 GLD    65.6 -0.0141  -0.0274
5 2007-05-17  20.7 SPY    151. -2.00e-3  0.0115    0.0274   0.0377    0.170    0.375    0.378 GLD    65.1 -0.0082  -0.0142
6 2007-05-18  20.8 SPY    153.  8.70e-3  0.0117    0.0366   0.0473    0.203    0.399    0.383 GLD    65.5  0.0071  -0.014 
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart